This paper analyzes the “surprise effect” of some macroeconomic indicators on the US and Germany stock indexes options implied volatility, by means of a VAR model and IRFs between the two volatility indexes. Results show a significant influence of some specific macroeconomic “surprise effects” so that the US volatility has a positive influence on the German one, but not viceversa. With reference to the first considered period, January 2008-May 2012, characterized by higher volatility, the German market analysis shows a direct link between the “surprise effect” of the IFO Business Climate Index and the VDAX NEW index changes. As regard the second time period (June 2012-December 2014), characterized by lower volatility, the significant macro “surprise effects” are related to the industrial sector (US Retail Sales, German Producer Price) and the job market (US Non-Farm Payroll). These results on the linkages between the macro “surprise effects” and the volatility indexes can be useful for implementing more effective short-term speculative and hedging strategies, based on the “surprise effect” direction and his link with the volatility index.
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|Titolo:||The "Surprise Effect" of Macro Indicators on the Options Implied Volatilities Dynamics: A Test on the United States-Germany Relationship|
|Citazione:||Patane', M., Tedesco, M., & Zedda, S. (2017). The "Surprise Effect" of Macro Indicators on the Options Implied Volatilities Dynamics: A Test on the United States-Germany Relationship. MODERN ECONOMY, 8(4), 590-603.|
|Appare nelle tipologie:||1.1 Articolo in rivista|